The new hire will join the Projections Modelling team in Quantitative Analysis and Technology (QAT). QAT brings together key quant functions with the objective of unifying and improving quant processes within the bank and modernizing how quant models, data, and quant technology are used for analysis and decision making.
QAT Projections Modelling team focuses on producing projection methodologies used both for business planning and for stress testing across the globe (CCAR, Loss Potential Analysis, and Internal Capital Adequacy Assessment Processes for major legal entities). In addition, the Projections Modelling team provides expertise on econometrics, statistics and economic models to other parts of the firm. As a result, this team provides a unique environment in which to learn applied methods geared towards decision-making and business planning.
The key responsibilities of this role are to:
• Develop, implement and maintain quantitative models to forecast of all key Pre-Provision Net Revenue (PPNR) items and Balance Sheet components for business planning analytics, risk management as well as regulatory reporting.
• Maintain clear documentation of methodology, assumptions and data inputs, for reviews with senior management, model validation, businesses, internal & external audit, and regulatory agencies (e.g., Fed, OCC, FINMA, PRA, EBA / ECB)
• Socialize and review model assumptions and outputs with model owners, model validators and senior management during any review and challenge session
• More broadly, frequent interaction with a number of significant stakeholders such as front office in other divisions (Capital Markets and Advisory, Markets, Wealth Management, and Asset Management), Treasury, Model Validation, Risk and Finance to deliver appropriate quantitative analytic
Your future colleagues
QAT Projections Modelling is a unit within the CRO Division, tasked with the quantitative model development across PPNR, Scenario Expansion / Generation, and Market Risk Projections. The applicant will join a team that is renowned for supporting innovation, creativity and results-oriented ideas. We believe in fostering positive team spirit through collaboration. As a result, our colleagues are our best asset. We are a department that values Diversity and Inclusion (D&I) and is committed to realizing the firm’s D&I ambition, which is an integral part of our global cultural values.
Your skills and experience
The role will focus on the development of PPNR models primarily for Investment Banking businesses, such as Advisory (M&A), Equity Capital Markets, Debt Capital Markets, Leveraged Finance, the global Corporate Bank, etc. It may require involvement with models for other businesses within Markets, Treasury, Wealth Management and Asset Management.
We are looking for candidates with the following qualifications:
• 2+ years of experience in developing advanced statistical models for use in a financial institution setting. Experience with developing models in a regulated environment (Fed, OCC, FDIC, FINMA, PRA, EBA / ECB, etc.) preferred
• A Master’s degree in a quantitative discipline (Economics, Statistics, Quantitative Finance, Computer Science, Engineering, etc.) A PhD degree in these, or related, disciplines will be a plus. Exceptionally, we will consider candidates with alternative career trajectories that evidence similar levels of expertise
• Proven quantitative modelling experience, especially in time series or econometrics modelling, Monte Carlo simulation, or statistical learning methods. An understanding of, and experience in, experimental design and cross-validation activities will also be valuable
• Expert capabilities in statistical software packages such as R, Python, MATLAB, or SAS
• A proven track record of successfully migrating models from development through production implementation
• Excellent documentation and communication skills to present model details to both technical, and non-technical audience
• Ability, motivation, and team player mindset to drive innovation and produce results in a fast-paced environment
• Self-starter and forward thinking with the ability to work independently, take ownership of tasks, and deliver under stringent time constraint
• Dedication to fostering an inclusive culture and value diverse perspective
The salary range, if this role is being hired in New York City, is $100,000 – $150,000 annually, based on various factors such as experience, education, skills, internal and external market data, etc.